Liquidity generated by heterogeneous beliefs and costly estimations
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References listed on IDEAS
- Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
- Jouini, E. & Napp, C., 2006. "Aggregation of heterogeneous beliefs," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 752-770, September.
- Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
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- Michael Gallmeyer & Burton Hollifield, 2008. "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, vol. 12(2), pages 323-364.
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- repec:spr:joptap:v:169:y:2016:i:3:d:10.1007_s10957-015-0785-x is not listed on IDEAS
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Keywordsliquidity; liquidity risk; transaction volume; liquidity model; Mean Field Games; trading volume; information cost; heterogeneous liquidity; heterogeneous beliefs; research cost;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-13 (All new papers)
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